Robust algorithms for solving stochastic partial differential equations

DOI10.1006/jcph.1996.5638zbMath0878.65128OpenAlexW2070476164MaRDI QIDQ1357348

M. J. Werner, Peter D. Drummond

Publication date: 10 June 1997

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jcph.1996.5638

zbMATH Keywords

algorithmsquantum fieldsstochastic parabolic partial differential equationsstochastic field equations

Mathematics Subject Classification ID

Related Items (11)

Characterization of Subthreshold Voltage Fluctuations in Neuronal Membranes ⋮ Algorithms for integration of stochastic differential equations using parallel optimized sampling in the Stratonovich calculus ⋮ Parallel Optimized Sampling for Stochastic Equations ⋮ Functional Wigner representation of quantum dynamics of Bose-Einstein condensate ⋮ Excitation picture of an interacting Bose gas ⋮ Quantum-field-theoretical approach to phase-space techniques: Symmetric Wick theorem and multitime Wigner representation ⋮ Stochastic PDEs: Convergence to the continuum? ⋮ Stiffly accurate Runge-Kutta methods for stiff stochastic differential equations ⋮ xmds: eXtensible multi-dimensional simulator ⋮ Phase-space representations of thermal Bose–Einstein condensates ⋮ Resolving the Multitude of Microscale Interactions Accurately Models Stochastic Partial Differential Equations

Uses Software

• PVM

Cites Work

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• Toward a universal random number generator
• Computer simulations of multiplicative stochastic differential equations
• The Fokker-Planck equation. Methods of solution and applications.
• Quantum noise
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Synergetics. An introduction. Nonequilibrium phase transitions and self- organization in physics, chemistry and biology. 2nd enl. ed
• Numerical integration of stochastic partial differential equations
• Remarks on Nonlinear Stochastic Partial Differential Equations: An Application of the Splitting-Up Method
• Handbook of stochastic methods for physics, chemistry and the natural sciences.

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